In 2010, I saw my first male Red-winged Blackbird on March 17 followed by the females on March 28. This was a little earlier than in previous years, when males returned between March 26th and April 1st.
Here's a short video from Cornell Lab of Ornithology's YouTube Channel about the displays and behaviors of this true harbinger of spring.
It's about that time to be on the lookout for Red-winged Blackbirds! Let me know when you see your first blackbird this spring (and where you're located).
UPDATE: It's March 11, 2011 and I just saw my first-of-season male Red-winged Blackbird, much earlier than previous years! I'll watch for a female's return in a week or so and will let you know.